The aim of this paper is to study the concept of separability in multiple nonstationary time series displaying both common stochastic trends and common stochastic cycles. When modeling the dynamics of multiple time series for a panel of several entities such as countries, sectors, firms,...

Quite often, the goal of the game when developing new coincident indexes of the economic activity is the comparison with NBER turning points. Using Monte Carlo simulations, this note illustrates that for the USA, any random linear combination of the four coincident variables would do the job as...

We investigate the presence of common cyclical features at different data points separated by a threshold variable. Our two-step procedure consists of first estimating the unknown threshold in a VAR or a VECM (Tsay, 1998). Next, cofeature test-statistics are carried out on the parts.